The Impact of Short-term Interest Rate on Stock Prices in the Czech Republic
| Autor: | Mgr. Štefan Michlian |
|---|---|
| Rok: | 2014 - letní |
| Vedoucí: | |
| Konzultant: | |
| Typ práce: | Diplomová Finance, finanční trhy a bankovnictví |
| Jazyk: | Anglicky |
| Stránky: | 81 |
| Ocenění: | Pochvala děkana Fakulty sociálních věd za vynikající výkon u státních zkoušek. |
| Odkaz: | https://is.cuni.cz/webapps/zzp/detail/138180/ |
| Abstrakt: | This thesis focuses on the relationship between short - term interest rate and stock prices. The main idea is that if interest - rate increases, it makes holding stocks less attractive relative to fixed income securities . Therefore, investors change the structure of their portfolios and switch capital from stocks to banks, which results in stock prices decrease. In our thesis, we apply GJR - GARCH - t- M model to study the impact of Czech interest rate ( 14-day PRIBOR) on the Prague Stock Exchange ( the PX index). In contrast to the majority of research on this topic, we have found no impact of the PRIBOR rate on the PX index - neither on its mean nor on its volatility. We attribute the absence of a significant relationship to exceptional composition of the PX index. Furthermore, we have found that the recent crisis has significantly changed the behavior of the Czech stock market |
